1. Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes. (2025). Urga, Giovanni ; Izzeldin, Marwan ; Hizmeri, Rodrigo.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000167.

   Full description at Econpapers || Download paper

2. Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta. (2024). Oh, Minseog ; Kim, Donggyu ; Wang, Yazhen.
   In: Working Papers.
   RePEc:ucr:wpaper:202422.

   Full description at Econpapers || Download paper

3. Optimal covariance matrix estimation for high-dimensional noise in high-frequency data. (2024). Hu, Qiao ; Chang, Jinyuan ; Tang, Cheng Yong ; Liu, Cheng.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001543.

   Full description at Econpapers || Download paper

4. Tests for Jumps in Yield Spreads. (2023). Yao, Wenying ; Winkelmann, Lars.
   In: Berlin School of Economics Discussion Papers.
   RePEc:bdp:dpaper:0024.

   Full description at Econpapers || Download paper

5. Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency. (2022). Kim, Donggyu ; Wang, Yazhen ; Song, Xinyu.
   In: Journal of Multivariate Analysis.
   RePEc:eee:jmvana:v:192:y:2022:i:c:s0047259x22000860.

   Full description at Econpapers || Download paper

6. Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators. (2022). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:107:y:2022:i:c:s026499932100290x.

   Full description at Econpapers || Download paper

7. Forecasting Realized Volatility of Crude Oil Futures Prices based on Machine Learning. (2021). Walther, Thomas ; Ji, Qiang ; Luo, Jiawen ; Klein, Tony.
   In: QBS Working Paper Series.
   RePEc:zbw:qmsrps:202104.

   Full description at Econpapers || Download paper

8. Tests for jumps in yield spreads. (2021). Yao, Wenying ; Winkelmann, Lars.
   In: Discussion Papers.
   RePEc:zbw:fubsbe:202115.

   Full description at Econpapers || Download paper

9. A Data Paradigm to Operationalise Expanded Filtration: Realized Volatilities and Kernels from Non-Synchronous NASDAQ Quotes and Trades. (2021). Pani, Sudhanshu ; Chakravarty, Ranjan R.
   In: Journal of Quantitative Economics.
   RePEc:spr:jqecon:v:19:y:2021:i:4:d:10.1007_s40953-021-00252-0.

   Full description at Econpapers || Download paper

10. Higher Realized Moments and Stock Return Predictability. (2021). , Waliullah ; Rehman, Seema ; Sharif, Saqib.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2021:i:1:p:48-70.

    Full description at Econpapers || Download paper

11. Minimum tick size reduction and stock liquidity: lessons from the Warsaw Stock Exchange. (2021). Stereczak, Szymon.
    In: Bank i Kredyt.
    RePEc:nbp:nbpbik:v:52:y:2021:i:6:p:545-576.

    Full description at Econpapers || Download paper

12. Jumps at ultra-high frequency: Evidence from the Chinese stock market. (2021). Liu, Zhi ; Zhang, Chuanhai.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x19305402.

    Full description at Econpapers || Download paper

13. Robust benchmark design. (2021). Dworczak, Piotr ; Duffie, Darrell.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:142:y:2021:i:2:p:775-802.

    Full description at Econpapers || Download paper

14. Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market. (2021). Lo, Ingrid ; Lin, Hai ; Qiao, Rui.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002119.

    Full description at Econpapers || Download paper

15. Volatility analysis with realized GARCH-Itô models. (2021). Kim, Donggyu ; Zhou, Yong ; Wang, Yazhen ; Song, Xinyu ; Cui, Xiangyu ; Yuan, Huiling ; Lu, Zhiping.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:222:y:2021:i:1:p:393-410.

    Full description at Econpapers || Download paper

16. Cojump anchoring. (2020). Yao, Wenying ; Winkelmann, Lars.
    In: Discussion Papers.
    RePEc:zbw:fubsbe:202017.

    Full description at Econpapers || Download paper

17. Singular conditional autoregressive Wishart model for realized covariance matrices. (2020). Bodnar, Taras ; Tyrcha, Joanna ; Alfelt, Gustav ; Javed, Farrukh.
    In: Working Papers.
    RePEc:hhs:oruesi:2021_001.

    Full description at Econpapers || Download paper

18. HOW DO YOU CAPTURE LIQUIDITY? A REVIEW OF THE LITERATURE ON LOW‐FREQUENCY STOCK LIQUIDITY. (2020). Le, Huong ; Gregoriou, Andros.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:34:y:2020:i:5:p:1170-1186.

    Full description at Econpapers || Download paper

19. Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency. (2020). Kim, Donggyu ; Wang, Yazhen ; Song, Xinyu.
    In: Papers.
    RePEc:arx:papers:2006.12039.

    Full description at Econpapers || Download paper

20. Implications of high-frequency trading for security markets. (2018). LINTON, OLIVER ; Mahmoodzadeh, Soheil.
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:06/18.

    Full description at Econpapers || Download paper

21. Estimation of spot volatility with superposed noisy data. (2018). Liu, Zhi ; Wang, LI.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:44:y:2018:i:c:p:62-79.

    Full description at Econpapers || Download paper

22. Implications of High-Frequency Trading for Security Markets. (2018). LINTON, OLIVER ; Mahmoodzadeh, S.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1802.

    Full description at Econpapers || Download paper

23. Theoretical and empirical analysis of trading activity. (2018). Schachermayer, Walter ; Pohl, Mathias ; Tangpi, Ludovic ; Ristig, Alexander.
    In: Papers.
    RePEc:arx:papers:1803.04892.

    Full description at Econpapers || Download paper

24. Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Chen, Richard Y ; Mykland, Per A.
    In: Papers.
    RePEc:arx:papers:1512.06159.

    Full description at Econpapers || Download paper

25. Cross-sectional noise reduction and more efficient estimation of Integrated Variance. (2018). Mirone, Giorgio.
    In: CREATES Research Papers.
    RePEc:aah:create:2018-18.

    Full description at Econpapers || Download paper

26. Buzz Factor or Innovation Potential: What Explains Cryptocurrencies’ Returns?. (2017). Vergne, Jean-Philippe ; Wang, Sha.
    In: PLOS ONE.
    RePEc:plo:pone00:0169556.

    Full description at Econpapers || Download paper

27. Heterogeneous traders, liquidity, and volatility in crude oil futures market. (2017). Ray, Rina ; Haugom, Erik.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:5:y:2017:i:c:p:36-49.

    Full description at Econpapers || Download paper

28. On high frequency estimation of the frictionless price: The use of observed liquidity variables. (2017). Chaker, Selma.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:201:y:2017:i:1:p:127-143.

    Full description at Econpapers || Download paper

29. Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. (2017). Chen, Richard Y ; Mykland, Per A.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:200:y:2017:i:1:p:79-103.

    Full description at Econpapers || Download paper

30. Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:197:y:2017:i:1:p:130-152.

    Full description at Econpapers || Download paper

31. Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Hounyo, Ulrich ; Podolskij, Mark ; Christensen, Kim.
    In: CREATES Research Papers.
    RePEc:aah:create:2017-30.

    Full description at Econpapers || Download paper

32. PERFORMANCE OF AMERICAN AND RUSSIAN JOINT STOCK COMPANIES ON FINANCIAL MARKET. A MICROSTRUCTURE PERSPECTIVE. (2016). Shachmurove, Yochanan ; Osinska, Magdalena ; Dobrzynski, Andrzej .
    In: Equilibrium. Quarterly Journal of Economics and Economic Policy.
    RePEc:pes:ierequ:v:11:y:2016:i:4:p:819-851.

    Full description at Econpapers || Download paper

33. Time-Varying Crash Risk: The Role of Stock Market Liquidity. (2016). Feunou, Bruno ; Jeon, Yoontae ; Christoffersen, Peter ; Ornthanalai, Chayawat.
    In: Staff Working Papers.
    RePEc:bca:bocawp:16-35.

    Full description at Econpapers || Download paper

34. Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach. (2016). Hounyo, Ulrich ; Podolskij, Mark ; Christensen, Kim.
    In: CREATES Research Papers.
    RePEc:aah:create:2016-27.

    Full description at Econpapers || Download paper

35. Parametric Estimates of High Frequency Market Microstructure Noise as an Unsystematic Risk. (2015). Seifoddini, Jalal ; Nikoomaram, Hashem ; Roodposhti, Fraydoon Rahnamay.
    In: Journal of Money and Economy.
    RePEc:mbr:jmonec:v:10:y:2015:i:4:p:29-50.

    Full description at Econpapers || Download paper

36. Does realized skewness predict the cross-section of equity returns?. (2015). Jacobs, Kris ; Amaya, Diego ; Vasquez, Aurelio.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:118:y:2015:i:1:p:135-167.

    Full description at Econpapers || Download paper

37. Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes. (2015). Patton, Andrew ; Liu, Lily ; Sheppard, Kevin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:1:p:293-311.

    Full description at Econpapers || Download paper

38. Robust Benchmark Design. (2014). Dworczak, Piotr ; Duffie, Darrell.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20540.

    Full description at Econpapers || Download paper

39. Liquidity and the Value at Risk. (2014). Grossmass, Lidan ; Groma, Lidan .
    In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
    RePEc:jns:jbstat:v:234:y:2014:i:5:p:572-602.

    Full description at Econpapers || Download paper

40. OR Forum---The Cost of Latency in High-Frequency Trading. (2013). Salam, Mehmet ; Moallemi, Ciamac C.
    In: Operations Research.
    RePEc:inm:oropre:v:61:y:2013:i:5:p:1070-1086.

    Full description at Econpapers || Download paper

41. Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data. (2013). Xu, Zheng.
    In: Economics Letters.
    RePEc:eee:ecolet:v:120:y:2013:i:3:p:369-373.

    Full description at Econpapers || Download paper

42. Volatility and Liquidity Costs. (2013). Chaker, Selma.
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-29.

    Full description at Econpapers || Download paper

43. On statistical indistinguishability of the complete and incomplete markets. (2013). Dokuchaev, Nikolai.
    In: Papers.
    RePEc:arx:papers:1209.4695.

    Full description at Econpapers || Download paper

44. A simple microstructure return model explaining microstructure noise and Epps effects. (2012). Sornette, D. ; Saichev, A..
    In: Papers.
    RePEc:arx:papers:1202.3915.

    Full description at Econpapers || Download paper

45. Volatility forecasting and microstructure noise. (2011). Ghysels, Eric ; Sinko, Arthur.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:257-271.

    Full description at Econpapers || Download paper

46. Quasi-maximum likelihood estimation of volatility with high frequency data. (2010). Xiu, Dacheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:1:p:235-250.

    Full description at Econpapers || Download paper

47. Liquidity and Market Microstructure Noise: Evidence from the Pekao Data. (2010). Doman, Magorzata.
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:10:y:2010:p:5-14.

    Full description at Econpapers || Download paper

48. Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency. (2010). Kim, Tong S. ; Lee, Jihyun.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:15:y:2010:i:1:n:3.

    Full description at Econpapers || Download paper

1. AIT-SAHALIA, Y. and KIMMEL, R. (2007). Maximum likelihood estimation of stochastic volatility models. Journal of Financial Economics 83 413-452.

2. AIT-SAHALIA, Y. and Yu, J. (2009). Supplement to High frequency market microstructure noise estimates and liquidity measures. DOl: iU.1214/08-AOAS200SUPP.
   Paper not yet in RePEc: Add citation now
   

3. AIT-SAHALIA, Y., MYKLAND, P. A. and ZHANG, L. (2005a). How often to sample a continuous-time process in the presence of market microstructure noise. Review of Financial Studies 18 351-416.

4. AIT-SAHALIA, Y., MYKLAND, P. A. and ZHANG, L. (2005b). Ultra high frequency volatility estimation with dependent microstructure noise. Discussion paper, Princeton Univ.

5. AIT-SAHALIA, Y., MYKLAND, P. A. and ZHANG, L. (2006). Comments on Realized variance and market microstructure noise. J. Bus. Econom. Statist. 24 162-167.
   Paper not yet in RePEc: Add citation now
   

6. AMIHUD, Y., MENDELSON, H. and PEDERSEN, L. H. (2005). Liquidity and asset prices. Foundations and Trends in Finance 1 269-364.

7. ANDERSEN, T. G., BOLLERSLEV, T., DIEBOLD, F. X. and LABYS, p. (2001). The distribution of exchange rate realized volatility. J. Amer. Statist. Assoc. 96 42-55. MR1952727 ANG, A., HODRICK, R. J., XING, Y. and ZHANG, X. (2006). The cross-section of volatility and expected returns. Journal of Finance 51 259-299.

8. BANDI, F. M. and RUSSELL, J. R. (2003). Microstructure noise, realized volatility and optimal sampling. Discussion paper, Univ. Chicago Graduate School of Business.
   Paper not yet in RePEc: Add citation now
   

9. BARNDORFF-NIELSEN, 0. E. and SHEPHARD, N. (2002). Econometric analysis of realized volatility and its use in estimating stochastic volatility models. J. Roy. Statist. Soc.

10. CA0, C., CubE, H. and HATHEWAY, F. (1997). Does the specialist matter? Differential execution costs and intersecurity subsidization on the New York stock exchange. Journal of Finance 52 1615-1640.

11. CHAN, L. and LAKONISHOK, J. (1997). Institutional equity trading costs: NYSE versus Nasdaq. Journal of Finance 52 713-735.

12. CHORDIA, T., ROLL, R. and SUBRAHMANYAM, A. (2000). Commonality in liquidity. Journal of Financial Economics 56 3-28.

13. CHORDIA, T., ROLL, R. and SUBRAHMANYAM, A. (2001). Market liquidity and trading activity. Journal of Finance 56 501-530.

14. DELATTRE, S. and JACOD, J. (1997). A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors. Bernoulli 3 1-28. N1R1466543 ENGLE, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica 50 987-1007. MR0666121 FAMA, E. F. and FRENCH, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 3-56.

15. FAMA, E. F. and FRENCH, K. R. (1997). Industry costs of equity. Journal of Financial Economics 43 143-193.

16. GEN
    Paper not yet in RePEc: Add citation now
    

17. GLOSTEN, L. R. (1987). Components of the bid-ask spread and the statistical properties of transaction prices. Journal of Finance 42 1293-1307. MR0919477 MICROSTRUCTURE NOISE AND LIQUIDITY 37 GLOSTEN, L. R. and HARRIS, L. E. (1988). Estimating the components of the bid/ask spread. Journal of Financial Economics 21 123-142.

18. GONCALVES, S. and MEDDAHI, N. (2005). Bootstrapping realized volatility. Discussion paper, Univ. Montr

19. GOTTLIEB, G. and KALAY, A. (1985). Implications of the discreteness of observed stock prices. Journal of Finance 40 135-153.

20. HANSEN, P. R. and LUNDE, A. (2006). Realized variance and market microstructure noise. J. Bus. Econom. Statist. 24 127-161.

21. HARDLE, W. and LINTON, 0. (1994). Applied nonparametric methods. In Handbook of Econometrics (R. F. Engle and D. L. McFadden, eds.) 4 2295-2339. Elsevier, Amsterdam. MR1315973 HARRIS, L. (1990a). Estimation of stock price variances and serial covariances from discrete observations. Journal of Financial and Quantitative Analysis 25 291-306.

22. HARRIS, L. (1990b). Statistical properties of the roll serial covariance bid/ask spread estimator. Journal of Finance 45 579-590.

23. HASBROUCK, J. (1993). Assessing the quality of a security market: A new approach to transaction-cost measurement. Review of Financial Studies 6 191-212.

24. HASBROUCK, J. (2005). Trading costs and returns for US equities: Evidence from daily data. Discussion paper, New York Univ.
    Paper not yet in RePEc: Add citation now
    

25. HASBROUCK, J. and SEPPI, D. J. (2001). Common factors in prices, order flows, and liquidity. Journal of Financial Economics 59 383-411.

26. HUANG, R. and STOLL, H. (1996). Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE. Journal of Financial Economics 41 313-357.

27. HUBERMAN, G. and HALKA, D. (2001). Systematic liquidity. Journal of Financial Research 24 161-178.

28. JACOD, J. (1994). Limit of random measures associated with the increments of a Brownian semimartingale. Discussion paper, Univ. Paris-6.
    Paper not yet in RePEc: Add citation now
    
29. JACOD, J. (1996). La Variation Quadratique du Brownien en Presence d'Erreurs d'Arrondi. Aste'risque 236 155-162. MR1417980 JACOD, J. and PROTTER, P. (1998). Asymptotic error distributions for the Euler method for stochastic differential equations. Ann. Probab. 26 267-307. MR1617049 MADHAVAN, A., RICHARDSON, M. and R00MANS, M. (1997). Why do security prices change? Review of Financial Studies 10 1035-1064.
    Paper not yet in RePEc: Add citation now
    

30. NEWEY, W. K. and WEST, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55 703-708. MR0890864 OOMEN, R. C. (2006). Properties of realized variance under alternative sampling schemes.

31. ROLL, R. (1984). A simple model of the implicit bid-ask spread in an efficient market.
    Paper not yet in RePEc: Add citation now
    
32. Ser. B 64 253-280. Mliii 904704 BRENNAN, M. J. and SUBRAHMANYAM, A. (2002). Market microstructure and asset pricing: On the compensation for illiquidity in stock returns. Journal of Financial Economics 41 441-464.
    Paper not yet in RePEc: Add citation now
    
33. ZHANG, L. (2006). Efficient estimation of stochastic volatility using noisy observations: A multi-scale approach. Bernoulli 12 1019-1043. MR2274854 ZHANG, L., MYKLAND, P. A. and Y. AIT-SAHALIA (2005a). Edgeworth expansions for realized volatility and related estimators. Discussion paper, Princeton Univ.
    Paper not yet in RePEc: Add citation now
    
34. ZHANG, L., MYKLAND, P. A. and Y. AIT-SAHALIA (2005b). A tale of two time scales: Determining integrated volatility with noisy high-frequency data. I Amer. Statist. Assoc. 100 1394-1411.
    Paper not yet in RePEc: Add citation now
    
35. ZUMBACH, G., C0RSI, F. and TRAPLETTI, A. (2002). Efficient estimation of volatility using high frequency data. Discussion paper, Olsen & Associates. BENDREIM CENTER FOR FINANCE PRINCETON UNIVERSITY 26 PROSPECT AVENUE PRINCETON, NEW JERSEY 08540-5296 USA E-MAIL: yaciriet~princeLon.edu FINANCE AND ECONOMIC DIVISION COLUMBIA UNIVERSITY 421 URIS HALL 3022 BROADWAY NEW YORK, NEW YORK 10027 USA E-MAIL: jy2167~ctcoiurnhia.edu
    Paper not yet in RePEc: Add citation now
    

1. Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data. (2013). Fengler, Matthias ; Audrino, Francesco.
   In: Economics Working Paper Series.
   RePEc:usg:econwp:2013:11.

   Full description at Econpapers || Download paper

2. Studying International Spillovers in a New Keynesian Continuous Time Framework with Financial Markets. (2013). Hayo, Bernd ; Niehof, Britta .
   In: MAGKS Papers on Economics.
   RePEc:mar:magkse:201342.

   Full description at Econpapers || Download paper

3. Efficient Estimation Using the Characteristic Function. (2013). Kotchoni, Rachidi ; Carrasco, Marine.
   In: Working Papers.
   RePEc:hal:wpaper:hal-00867850.

   Full description at Econpapers || Download paper

4. Stock price dynamics and option valuations under volatility feedback effect. (2013). Piche, Robert ; Kanniainen, Juho.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:392:y:2013:i:4:p:722-740.

   Full description at Econpapers || Download paper

5. Density approximations for multivariate affine jump-diffusion processes. (2013). Schneider, Paul ; Mayerhofer, Eberhard ; Filipovi, Damir.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:176:y:2013:i:2:p:93-111.

   Full description at Econpapers || Download paper

6. A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions. (2013). Hurn, Stan ; Lindsay, K. A. ; McClelland, A. J..
   In: Journal of Econometrics.
   RePEc:eee:econom:v:172:y:2013:i:1:p:106-126.

   Full description at Econpapers || Download paper

7. Estimating Stochastic Volatility Models using Prediction-based Estimating Functions. (2013). Lunde, Asger ; Brix, Anne Floor.
   In: CREATES Research Papers.
   RePEc:aah:create:2013-23.

   Full description at Econpapers || Download paper

8. Simulated Maximum Likelihood Estimation for Latent Diffusion Models. (2012). Yu, Jun ; Kleppe, Tore ; Skaug, Hans J..
   In: Working Papers.
   RePEc:siu:wpaper:12-2012.

   Full description at Econpapers || Download paper

9. Estimating the Parameters of Stochastic Volatility Models using Option Price Data. (2012). Hurn, Stan ; Lindsay, Ken ; McClelland, Andrew .
   In: NCER Working Paper Series.
   RePEc:qut:auncer:2012_11.

   Full description at Econpapers || Download paper

10. Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions. (2012). Kaeck, Andreas ; Alexander, Carol.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:11:p:3110-3121.

    Full description at Econpapers || Download paper

11. Testing for jumps in noisy high frequency data. (2012). Ait-Sahalia, Yacine ; At-Sahalia, Yacine ; Jacod, Jean.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:168:y:2012:i:2:p:207-222.

    Full description at Econpapers || Download paper

12. Estimation of dynamic models with nonparametric simulated maximum likelihood. (2012). Shin, Yongseok ; Kristensen, Dennis.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:167:y:2012:i:1:p:76-94.

    Full description at Econpapers || Download paper

13. Warrant pricing under GARCH diffusion model. (2012). Wu, Xin-Yu ; Wang, Shou-Yang ; Ma, Chao-Qun.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:6:p:2237-2244.

    Full description at Econpapers || Download paper

14. The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation. (2012). Meddahi, Nour ; Feunou, Bruno ; Christoffersen, Peter ; Jacobs, Kris.
    In: Staff Working Papers.
    RePEc:bca:bocawp:12-34.

    Full description at Econpapers || Download paper

15. Stock Price Dynamics and Option Valuations under Volatility Feedback Effect. (2012). Robert Pich'e, ; Kanniainen, Juho.
    In: Papers.
    RePEc:arx:papers:1209.4718.

    Full description at Econpapers || Download paper

16. GARCH Option Valuation: Theory and Evidence. (2012). Christoffersen, Peter ; Jacobs, Kris ; Ornthanalai, Chayawat.
    In: CREATES Research Papers.
    RePEc:aah:create:2012-50.

    Full description at Econpapers || Download paper

17. How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?. (2011). Veraart, Almut.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:95:y:2011:i:3:p:253-291.

    Full description at Econpapers || Download paper

18. Simulated Maximum Likelihood Estimation for Latent Diffusion Models. (2011). Yu, Jun ; Kleppe, Tore ; Skaug, Hans J..
    In: Working Papers.
    RePEc:siu:wpaper:10-2011.

    Full description at Econpapers || Download paper

19. In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008. (2011). Swanson, Norman ; Cai, Lili.
    In: Departmental Working Papers.
    RePEc:rut:rutres:201102.

    Full description at Econpapers || Download paper

20. On the Approximate Maximum Likelihood Estimation for Diffusion Processes. (2011). Chen, Song Xi ; Chang, Jinyuan.
    In: MPRA Paper.
    RePEc:pra:mprapa:46279.

    Full description at Econpapers || Download paper

21. Testing option pricing models: complete and incomplete markets. (2011). Verchenko, Olesia.
    In: Discussion Papers.
    RePEc:kse:dpaper:38.

    Full description at Econpapers || Download paper

22. Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models. (2011). Mele, Antonio ; Kristensen, Dennis.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:102:y:2011:i:2:p:390-415.

    Full description at Econpapers || Download paper

23. In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008. (2011). Swanson, Norman ; Cai, Lili.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:4:p:743-764.

    Full description at Econpapers || Download paper

24. Maximum likelihood estimation of non-affine volatility processes. (2011). Chourdakis, Kyriakos ; Dotsis, George.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:3:p:533-545.

    Full description at Econpapers || Download paper

25. Bias in estimating multivariate and univariate diffusions. (2011). Yu, Jun ; Wang, Xiaohu ; Phillips, Peter ; Phillips, Peter C. B., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:161:y:2011:i:2:p:228-245.

    Full description at Econpapers || Download paper

26. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2011). Zhou, Hao ; Bollerslev, Tim ; Gibson, Michael.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:235-245.

    Full description at Econpapers || Download paper

27. Estimation of objective and risk-neutral distributions based on moments of integrated volatility. (2011). Renault, Eric ; Garcia, René ; Pastorello, Sergio ; Lewis, Marc-Andre .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:22-32.

    Full description at Econpapers || Download paper

28. Forecasting volatility: does continuous time do better than discrete time?. (2011). Veiga, Helena ; Breto, Carles.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws112518.

    Full description at Econpapers || Download paper

29. Nonparametric estimation for a stochastic volatility model. (2010). Rozenholc, Y. ; Genon-Catalot, V. ; Comte, F..
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:14:y:2010:i:1:p:49-80.

    Full description at Econpapers || Download paper

30. Properties of Foreign Exchange Risk Premia. (2010). Wagner, Christian ; Schneider, Paul ; Sarno, Lucio.
    In: MPRA Paper.
    RePEc:pra:mprapa:21302.

    Full description at Econpapers || Download paper

31. A fast Fourier transform technique for pricing American options under stochastic volatility. (2010). Zhylyevskyy, Oleksandr.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:13:y:2010:i:1:p:1-24.

    Full description at Econpapers || Download paper

32. Estimating affine multifactor term structure models using closed-form likelihood expansions. (2010). Ait-Sahalia, Yacine ; Kimmel, Robert L..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:98:y:2010:i:1:p:113-144.

    Full description at Econpapers || Download paper

33. Misreaction or misspecification? A re-examination of volatility anomalies. (2010). Tian, Yisong S. ; Jiang, George J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:10:p:2358-2369.

    Full description at Econpapers || Download paper

34. A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation. (2010). Li, Minqiang.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:2:p:132-157.

    Full description at Econpapers || Download paper

35. Jump and volatility risk premiums implied by VIX. (2010). Duan, Jin-Chuan ; Yeh, Chung-Ying.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:11:p:2232-2244.

    Full description at Econpapers || Download paper

36. Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models. (2009). Yu, Jun ; Kleppe, Tore ; Skaug, Hans J..
    In: Working Papers.
    RePEc:siu:wpaper:20-2009.

    Full description at Econpapers || Download paper

37. A study about the existence of the leverage effect in stochastic volatility models. (2009). Florescu, Ionu ; Psric, Cristian Gabriel .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:388:y:2009:i:4:p:419-432.

    Full description at Econpapers || Download paper

38. Empirical asset pricing with nonlinear risk premia. (2009). Schneider, Paul ; Mijatovic, Aleksandar.
    In: Papers.
    RePEc:arx:papers:0911.0928.

    Full description at Econpapers || Download paper

39. High frequency market microstructure noise estimates and liquidity measures. (2009). Ait-Sahalia, Yacine ; Yu, Jialin.
    In: Papers.
    RePEc:arx:papers:0906.1444.

    Full description at Econpapers || Download paper

40. Stochastic volatility and stochastic leverage. (2009). Veraart, Almut.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-20.

    Full description at Econpapers || Download paper

41. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080011.

    Full description at Econpapers || Download paper

42. Simulated maximum likelihood for general stochastic volatility models: a change of variable approach. (2008). Kleppe, Tore ; Skaug, Hans J..
    In: MPRA Paper.
    RePEc:pra:mprapa:12022.

    Full description at Econpapers || Download paper

43. A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation. (2008). Li, Minqiang.
    In: MPRA Paper.
    RePEc:pra:mprapa:11185.

    Full description at Econpapers || Download paper

44. A Gaussian approximation scheme for computation of option prices in stochastic volatility models. (2008). Gallant, A. ; Ji, Chuanshu ; Lee, Beom S. ; Cheng, Ai-Ru.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:146:y:2008:i:1:p:44-58.

    Full description at Econpapers || Download paper

45. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions. (2008). Ait-Sahalia, Yacine ; Kimmel, Robert L..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2008-19.

    Full description at Econpapers || Download paper

46. Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood. (2008). Shin, Yongseok ; Kristensen, Dennis.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-58.

    Full description at Econpapers || Download paper

47. Efficient estimation of drift parameters in stochastic volatility models. (2007). Gloter, Arnaud.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:11:y:2007:i:4:p:495-519.

    Full description at Econpapers || Download paper

48. An empirical comparison of continuous-time models of implied volatility indices. (2007). Skiadopoulos, George ; Dotsis, George ; Psychoyios, Dimitris.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:12:p:3584-3603.

    Full description at Econpapers || Download paper

49. Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan. (2007). Yu, Jialin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:1245-1280.

    Full description at Econpapers || Download paper

50. Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices. (2007). Jacobs, Kris ; Mimouni, Karim.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-37.

    Full description at Econpapers || Download paper

Report date: 2025-09-29 23:33:23 || Missing content? Let us know